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NAME ql/termstructures/volatility/optionlet/capletvariancecurve.hpp – caplet variance curve SYNOPSIS #include <ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp> #include <ql/termstructures/volatility/equityfx/blackvariancecurve.hpp> #include <ql/termstructures/volatility/flatsmilesection.hpp> Classes class CapletVarianceCurve Detailed Description caplet variance curve Author Generated automatically by Doxygen for QuantLib from the source code. Index

QuantLib::CapPseudoDerivative – Synopsis #include <ql/models/marketmodels/pathwisegreeks/swaptionpseudojacobian.hpp> Public Member Functions CapPseudoDerivative (boost::shared_ptr< MarketModel > inputModel, Real strike, Size startIndex, Size endIndex, Real firstDF) const Matrix & volatilityDerivative (Size i) const const Matrix & priceDerivative (Size i) const Real impliedVolatility () const Detailed Description In order to compute market vegas, we need a class that gives the derivative…

QuantLib::CapHelper – calibration helper for ATM cap Synopsis #include <ql/models/shortrate/calibrationhelpers/caphelper.hpp> Inherits QuantLib::CalibrationHelper. Public Member Functions CapHelper (const Period &length, const Handle< Quote > &volatility, const boost::shared_ptr< IborIndex > &index, Frequency fixedLegFrequency, const DayCounter &fixedLegDayCounter, bool includeFirstSwaplet, const Handle< YieldTermStructure > &termStructure, bool calibrateVolatility=false) virtual void addTimesTo (std::list< Time > &times) const virtual Real modelValue ()…

QuantLib::CapFloorTermVolatilityStructure – Cap/floor term-volatility structure. Synopsis #include <ql/termstructures/volatility/capfloor/capfloortermvolatilitystructure.hpp> Inherits QuantLib::VolatilityTermStructure. Inherited by CapFloorTermVolCurve, CapFloorTermVolSurface, and ConstantCapFloorTermVolatility. Public Member Functions Constructors See the TermStructure documentation for issues regarding constructors. CapFloorTermVolatilityStructure (const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) default constructor CapFloorTermVolatilityStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) initialize with a fixed…

NAME ql/termstructures/volatility/capfloor/capfloortermvolsurface.hpp – Cap/floor smile volatility surface. SYNOPSIS #include <ql/termstructures/volatility/capfloor/capfloortermvolatilitystructure.hpp> #include <ql/math/interpolations/interpolation2d.hpp> #include <ql/quote.hpp> #include <ql/patterns/lazyobject.hpp> #include <vector> Classes class CapFloorTermVolSurface Cap/floor smile volatility surface. Detailed Description Cap/floor smile volatility surface. Author Generated automatically by Doxygen for QuantLib from the source code. Index

NAME ql/termstructures/volatility/capfloor/capfloortermvolcurve.hpp – Cap/floor at-the-money term-volatility curve. SYNOPSIS #include <ql/termstructures/volatility/capfloor/capfloortermvolatilitystructure.hpp> #include <ql/math/interpolation.hpp> #include <ql/quote.hpp> #include <ql/patterns/lazyobject.hpp> #include <boost/noncopyable.hpp> #include <vector> Classes class CapFloorTermVolCurve Cap/floor at-the-money term-volatility vector. Detailed Description Cap/floor at-the-money term-volatility curve. Author Generated automatically by Doxygen for QuantLib from the source code. Index

ql/termstructures/volatility/optionlet/optionletstripper1.hpp – optionlet (caplet/floorlet) volatility stripper Synopsis #include <ql/termstructures/volatility/optionlet/optionletstripper.hpp> Classes class OptionletStripper1 Typedefs typedef std::vector< std::vector< boost::shared_ptr< CapFloor > > > CapFloorMatrix Detailed Description optionlet (caplet/floorlet) volatility stripper Author Generated automatically by Doxygen for QuantLib from the source code.

NAME ql/instruments/capfloor.hpp – cap and floor class SYNOPSIS #include <ql/instrument.hpp> #include <ql/cashflows/iborcoupon.hpp> #include <ql/handle.hpp> Classes class CapFloor Base class for cap-like instruments. class Cap Concrete cap class. class Floor Concrete floor class. class Collar Concrete collar class. class arguments Arguments for cap/floor calculation class engine base class for cap/floor engines Functions std::ostream & operator<< (std::ostream…

QuantLib::Canada – Canadian calendar. Synopsis #include <ql/time/calendars/canada.hpp> Inherits QuantLib::Calendar. Public Types enum Market { Settlement, TSX } Public Member Functions Canada (Market market=Settlement) Detailed Description Canadian calendar. Banking holidays: * Saturdays * Sundays * New Year’s Day, January 1st (possibly moved to Monday) * Family Day, third Monday of February (since 2008) * Good Friday…

QuantLib::CallableZeroCouponBond – callable/puttable zero coupon bond Synopsis #include <ql/experimental/callablebonds/callablebond.hpp> Inherits QuantLib::CallableFixedRateBond. Public Member Functions CallableZeroCouponBond (Natural settlementDays, Real faceAmount, const Calendar &calendar, const Date &maturityDate, const DayCounter &dayCounter, BusinessDayConvention paymentConvention=Following, Real redemption=100.0, const Date &issueDate=Date(), const CallabilitySchedule &putCallSchedule=CallabilitySchedule()) Detailed Description callable/puttable zero coupon bond Callable zero coupon bond class. Author Generated automatically by Doxygen for…

QuantLib::CallableFixedRateBond – callable/puttable fixed rate bond Synopsis #include <ql/experimental/callablebonds/callablebond.hpp> Inherits QuantLib::CallableBond. Inherited by CallableZeroCouponBond. Public Member Functions CallableFixedRateBond (Natural settlementDays, Real faceAmount, const Schedule &schedule, const std::vector< Rate > &coupons, const DayCounter &accrualDayCounter, BusinessDayConvention paymentConvention=Following, Real redemption=100.0, const Date &issueDate=Date(), const CallabilitySchedule &putCallSchedule=CallabilitySchedule()) virtual void setupArguments (PricingEngine::arguments *args) const Detailed Description callable/puttable fixed rate bond…

QuantLib::CallableBondVolatilityStructure – Callable-bond volatility structure. Synopsis #include <ql/experimental/callablebonds/callablebondvolstructure.hpp> Inherits QuantLib::TermStructure. Inherited by CallableBondConstantVolatility. Public Member Functions virtual std::pair< Time, Time > convertDates (const Date &optionDate, const Period &bondTenor) const implements the conversion between dates and times virtual BusinessDayConvention businessDayConvention () const the business day convention used for option date calculation Date optionDateFromTenor (const Period &optionTenor)…

QuantLib::CallableBondConstantVolatility – Constant callable-bond volatility, no time-strike dependence. Synopsis #include <ql/experimental/callablebonds/callablebondconstantvol.hpp> Inherits QuantLib::CallableBondVolatilityStructure. Public Member Functions CallableBondConstantVolatility (const Date &referenceDate, Volatility volatility, const DayCounter &dayCounter) CallableBondConstantVolatility (const Date &referenceDate, const Handle< Quote > &volatility, const DayCounter &dayCounter) CallableBondConstantVolatility (Natural settlementDays, const Calendar &, Volatility volatility, const DayCounter &dayCounter) CallableBondConstantVolatility (Natural settlementDays, const Calendar &, const…

NAME ql/experimental/callablebonds/callablebond.hpp – callable bond classes SYNOPSIS #include <ql/time/schedule.hpp> #include <ql/pricingengine.hpp> #include <ql/instruments/bond.hpp> #include <ql/instruments/callabilityschedule.hpp> #include <ql/cashflows/fixedratecoupon.hpp> #include <ql/quotes/simplequote.hpp> Classes class CallableBond Callable bond base class. class results results for a callable bond calculation class engine base class for callable fixed rate bond engine class CallableFixedRateBond callable/puttable fixed rate bond class CallableZeroCouponBond callable/puttable zero coupon…

NAME ql/instruments/callabilityschedule.hpp – Schedule of put/call dates. SYNOPSIS #include <ql/event.hpp> #include <ql/utilities/null.hpp> #include <boost/shared_ptr.hpp> #include <boost/optional.hpp> #include <vector> Classes class Callability instrument callability class Price amount to be paid upon callability Typedefs typedef std::vector< boost::shared_ptr< Callability > > CallabilitySchedule Detailed Description Schedule of put/call dates. Author Generated automatically by Doxygen for QuantLib from the source…

NAME QuantLib::CallableBond – Callable bond base class. SYNOPSIS #include <ql/experimental/callablebonds/callablebond.hpp> Inherits QuantLib::Bond. Inherited by CallableFixedRateBond. Classes class engine base class for callable fixed rate bond engine class results results for a callable bond calculation Public Member Functions virtual void setupArguments (PricingEngine::arguments *args) const Inspectors const CallabilitySchedule & callability () const return the bond’s put/call schedule…

QuantLib::CalibrationHelper – liquid market instrument used during calibration Synopsis #include <ql/models/calibrationhelper.hpp> Inherits QuantLib::Observer, and QuantLib::Observable. Inherited by CapHelper, HestonModelHelper, and SwaptionHelper. Public Member Functions CalibrationHelper (const Handle< Quote > &volatility, const Handle< YieldTermStructure > &termStructure, bool calibrateVolatility=false) void update () Real marketValue () const returns the actual price of the instrument (from volatility) virtual Real…

QuantLib::CalibratedModel – Calibrated model class. Synopsis #include <ql/models/model.hpp> Inherits QuantLib::Observer, and QuantLib::Observable. Inherited by GJRGARCHModel, HestonModel, LiborForwardModel, and ShortRateModel. Public Member Functions CalibratedModel (Size nArguments) void update () void calibrate (const std::vector< boost::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >()) Calibrate to a…

QuantLib::CalibratedModel – Calibrated model class. Synopsis #include <ql/models/model.hpp> Inherits QuantLib::Observer, and QuantLib::Observable. Inherited by GJRGARCHModel, HestonModel, LiborForwardModel, and ShortRateModel. Public Member Functions CalibratedModel (Size nArguments) void update () void calibrate (const std::vector< boost::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >()) Calibrate to a…

NAME ql/time/calendar.hpp – calendar class SYNOPSIS #include <ql/time/date.hpp> #include <ql/time/businessdayconvention.hpp> #include <boost/shared_ptr.hpp> #include <set> #include <vector> #include <string> Classes class Calendar calendar class class Impl abstract base class for calendar implementations class WesternImpl partial calendar implementation class OrthodoxImpl partial calendar implementation Detailed Description calendar class Author Generated automatically by Doxygen for QuantLib from the source…